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Alex Levin of Andrew Davidson & Co. led the weekly seminar at Courant on Tuesday, April 1st. Dr. Levin spoke to the students about his recent research at the consulting firm concerning the modelling and valuation of mortgage related instruments. In particular, he addressed the issue of accounting for the prepayment risk embedded in certain mortgage products. As he explained, the option for borrowers to prepay can have significant consequences on the performance of certain investments and thus an accurate framework of the behavior of borrowers is crucial. --CASEY O'MEARA '08

Barry Schachter on stress events and risk management

Seminars

Written by Casey Edward O&#039;Meara

Barry Schachter of Moore Capital Management came to speak with the masters students on March 25th. A fellow of the program, Dr. Schachter has an extensive history in the field of risk management having worked for a number of banks and hedge funds. He spoke with the students about the impact of large stress events and how the increasing complexity of the financial system can cause these events to have serious unanticipated consequences. While this poses great challenges for risk managers, Dr. Schachter is optimistic when it comes to the hedge fund industry where, as he explains, the relatively light regulation and absence of risk accounting mandates has fostered diverse and appropriate risk measures. --CASEY O'MEARA '08

Dividends ruin everything - with Peter Fraenkel

Seminars

Written by Casey Edward O&#039;Meara

On March 11th, Peter Fraenkel of Pragma Financial Systems came to speak with the masters students. Peter previously worked on the equity options desk of Morgan Stanley. He spoke with the students about the issue of accounting for dividends when properly pricing and hedging equity options. As Peter explained, while the issue of dividends is normally treated as an afterthought in most derivatives textbooks, improperly accounting for them when pricing or hedging options can lead to significant losses. --CASEY O'MEARA '08

Steve Allen on careers in risk management

Seminars

Written by Casey Edward O&#039;Meara

Courant's own Steve Allen led the weekly seminar with the masters students on March 4th. As a veteran of risk management and current MD of risk methodology for JPMorgan, Professor Allen shared with the students a broad overview of what a career in risk entails. Speaking candidly, Professor Allen painted a thorough picture of how a risk group interacts with the rest of the firm, what roles are involved with its members, and what disciplines lend themselves well to a successful career in the field. --CASEY O'MEARA '08